Seleção de ações, carteiras de ponderação igualitária e fundos de investimento em ações no Brasil

Abstract

Equally weighed portfolios of Brazilian stocks were contrasted to actively managed stock funds and the Ibovespa index, representing passive management, considering an unsophisticated investor. The sampled shares comprised the Ibovespa and were selected considering the value (dividend yield and price-to-book ratio or P/B), momentum (past returns), size, and liquidity (average market trading dollar volume) effects, present in the Brazilian market, as well as the Sharpe Ratio (SR), over a period of 120 months ended December 2012. Rebalancing took place every four months and portfolios contained between 5 and 30 stocks. The equally weighted portfolios formed according to the SR with up to 15 stocks achieved significantly higher returns than the Ibovespa, while those built based on past returns and the P/B in the previous four months performed better when they had more than 15 stocks. The equally weighted portfolios produced with all criteria, except liquidity, overtook most stock funds, particularly when the amount invested exceeded R$ 50,000, due to transaction costs. Equally weighted portfolios are attractive for unsophisticated investors, especially in relation to actively managed stock funds.